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Article: Macroeconometrics of stock price fluctuations.
- Article from:
- Quarterly Journal of Business and Economics
- Article date:
- January 1, 1993
- Author:
CopyrightCOPYRIGHT 1993 University of Nebraska-Lincoln. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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Introduction
The objective of this paper is to apply Sims' innovation accounting and Granger causality tests to explain monthly stock price fluctuations within a vector autoregressive (VAR) model following Sims (1980b). Specific issues to be examined within the VAR framework include:
* Identify a set of macroeconomic variables that are Granger causal prior to stock prices;
* Examine the relative contributions of the model variables in explaining fluctuations in stock prices;
* Determine the direction of movement of stock prices in response to changes in the model variables; and
* Examine the sensitivity of the results to the choice of a ...